How to make lamp visible to camera in cycles?
As others have said, Cycles doesn't do that, but you can work around it with proxy objects that are only visible to the camera.  Create a small sphere, parented to the lamp, with a node setup like this:



This will make the sphere directly visible to the camera, but it won't affect your scene in any other way.

This works nicely for point lamps.  Other lamp types could be a bit more involved, depending on the look you're going for, but the same principle holds.

Sun lamps are especially tricky because the proxy needs to be handled in the world shader setup, and can't be parented to the lamp.  Set up your world shader nodes like this:



You can replace the sky texture here with whatever you want the rest of the sky to look like.

You can see from the purple highlighted elements that I'm using drivers to effectively parent to the sun, and to mimic its actual size.  You don't necessarily need to do that, but it's handy.  Full details would be out of scope for this post, since you didn't specify sun lamps, but the setup is available on Blend Swap if you're interested.